CITIC Correlations

CTPCF Stock

USD 1.39 0.35 20.11%

The current 90-days correlation between CITIC Limited and Marubeni is -0.07 (i.e., Good diversification). The correlation of CITIC is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.

CITIC Correlation With Market

Poor diversification

The correlation between CITIC Limited and DJI is 0.68 (i.e., Poor diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding CITIC Limited and DJI in the same portfolio, assuming nothing else is changed.

The ability to find closely correlated positions to CITIC could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace CITIC when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back CITIC - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling CITIC Limited to buy it.

Moving together with CITIC Pink Sheet

0.7	MITSY	Mitsui Company Earnings Call This Week	Pair Corr
0.73	MITSF	Mitsui Co Earnings Call This Week	Pair Corr
0.85	WMT	Walmart Common Stock	Pair Corr
0.79	SAR	Saratoga Investment Corp	Pair Corr
0.83	ACN	Accenture plc	Pair Corr
0.83	VLKAF	Volkswagen AG	Pair Corr
0.85	VWAGY	Volkswagen AG 110	Pair Corr
0.86	VLKPF	Volkswagen AG VZO	Pair Corr
0.66	DD	Dupont De Nemours Sell-off Trend	Pair Corr
0.62	BAC	Bank of America Aggressive Push	Pair Corr
0.75	MRK	Merck Company Earnings Call This Week	Pair Corr
0.67	JNJ	Johnson Johnson	Pair Corr
0.61	CAT	Caterpillar Earnings Call Today	Pair Corr
0.69	AA	Alcoa Corp	Pair Corr

Moving against CITIC Pink Sheet

0.68	HNHPF	Hon Hai Precision	Pair Corr
0.58	JD	JD Inc Adr	Pair Corr
0.64	MSFT	Microsoft	Pair Corr
0.59	PG	Procter Gamble	Pair Corr
0.52	T	ATT Inc Earnings Call This Week	Pair Corr
0.45	HPQ	HP Inc	Pair Corr

Related Correlations Analysis

	MARUF	MARUY	SSUMF	SSUMY	DHLGY	DPSTF	MITSF	MITSY	VOLVF	CODGF
MARUF		0.96	0.93	0.96	0.75	0.71	0.91	0.94	0.9	0.27	MARUF
MARUY	0.96		0.94	0.98	0.79	0.76	0.94	0.97	0.92	0.25	MARUY
SSUMF	0.93	0.94		0.98	0.81	0.78	0.95	0.96	0.94	0.36	SSUMF
SSUMY	0.96	0.98	0.98		0.8	0.76	0.96	0.98	0.93	0.33	SSUMY
DHLGY	0.75	0.79	0.81	0.8		0.97	0.89	0.87	0.89	0.12	DHLGY
DPSTF	0.71	0.76	0.78	0.76	0.97		0.85	0.83	0.85	0.12	DPSTF
MITSF	0.91	0.94	0.95	0.96	0.89	0.85		0.98	0.94	0.34	MITSF
MITSY	0.94	0.97	0.96	0.98	0.87	0.83	0.98		0.95	0.27	MITSY
VOLVF	0.9	0.92	0.94	0.93	0.89	0.85	0.94	0.95		0.25	VOLVF
CODGF	0.27	0.25	0.36	0.33	0.12	0.12	0.34	0.27	0.25		CODGF
	MARUF	MARUY	SSUMF	SSUMY	DHLGY	DPSTF	MITSF	MITSY	VOLVF	CODGF

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Risk-Adjusted Indicators

There is a big difference between CITIC Pink Sheet performing well and CITIC Company doing well as a business compared to the competition. There are so many exceptions to the norm that investors cannot definitively determine what's good or bad unless they analyze CITIC's multiple risk-adjusted performance indicators across the competitive landscape. These indicators are quantitative in nature and help investors forecast volatility and risk-adjusted expected returns across various positions.

	Mean Deviation	Jensen Alpha	Sortino Ratio	Treynor Ratio	Semi Deviation	Expected Shortfall	Potential Upside	Value @Risk	Maximum Drawdown
MARUF	2.41	0.50	0.12	(2.29)	2.66	(2.47)	5.39	(5.93)	17.93
MARUY	1.38	0.38	0.23	0.43	1.32	(1.59)	3.23	(2.69)	6.43
SSUMF	2.01	0.50	0.11	13.64	2.48	(2.78)	5.48	(4.19)	16.81
SSUMY	1.30	0.41	0.28	0.54	0.99	(1.57)	3.29	(2.10)	6.35
DHLGY	1.10	0.25	0.20	0.34	0.94	(1.31)	2.44	(2.01)	11.75
DPSTF	1.25	0.24	0.08	0.45	1.41	(2.01)	3.38	(3.02)	15.19
MITSF	1.68	0.40	0.20	0.83	1.22	(2.25)	4.55	(2.72)	9.58
MITSY	1.28	0.37	0.31	0.45	0.79	(1.55)	3.26	(2.03)	9.25
VOLVF	2.22	0.38	0.14	0.61	2.13	(2.51)	5.00	(4.02)	13.63
CODGF	1.08	(0.01)	0.00	0.08	0.00	0.00	2.49	(2.41)	11.82

Be your own money manager

Our tools can tell you how much better you can do entering a position in CITIC without increasing your portfolio risk or giving up the expected return. As an individual investor, you need to find a reliable way to track all your investment portfolios. However, your requirements will often be based on how much of the process you decide to do yourself. In addition to allowing all investors analytical transparency into all their portfolios, our tools can evaluate risk-adjusted returns of your individual positions relative to your overall portfolio.

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CITIC Corporate Management

Guohua Xi	Vice Pres	Profile
Wing Choy	Group General Counsel and Company Secretary	Profile
Huayue Zhu	Gen Marketing	Profile
Youjun Zhang	Assistant Pres	Profile
Jun Cui	Member Committee	Profile
Hexin Zhu	Ex Chairman	Profile
Youmei Ni	Chief Accountant	Profile

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